Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0500
Annualized Std Dev 0.2245
Annualized Sharpe (Rf=0%) 0.2227

Row

Daily Return Statistics

Close
Observations 3487.0000
NAs 1.0000
Minimum -0.1240
Quartile 1 -0.0053
Median 0.0008
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0067
Maximum 0.1289
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0141
Skewness -0.3396
Kurtosis 12.6196

Downside Risk

Close
Semi Deviation 0.0104
Gain Deviation 0.0099
Loss Deviation 0.0117
Downside Deviation (MAR=210%) 0.0148
Downside Deviation (Rf=0%) 0.0103
Downside Deviation (0%) 0.0103
Maximum Drawdown 0.6108
Historical VaR (95%) -0.0205
Historical ES (95%) -0.0350
Modified VaR (95%) -0.0207
Modified ES (95%) -0.0327
From Trough To Depth Length To Trough Recovery
2007-11-01 2009-03-09 2013-10-24 -0.6108 1506 339 1167
2020-02-20 2020-03-23 2020-10-12 -0.3572 164 23 141
2018-01-29 2018-12-24 2019-05-03 -0.1824 318 229 89
2014-06-23 2016-01-21 2016-06-08 -0.1762 495 399 96
2007-07-16 2007-08-16 2007-10-09 -0.1363 61 24 37

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA 0.4 1.1 1.2 1.7 1.1 -2.9 0.1 -1 1.6
2008 2.3 -1.6 3.6 -0.8 0.6 -0.8 -0.9 0.1 0 2.8 -7.8 0.8 -2
2009 -2.1 0.9 1.3 1.7 2.5 0.8 0.9 -1.8 -2.7 -1.7 1.7 -0.5 0.6
2010 1.9 0.7 1.6 -1.6 -1.1 0.7 0.1 3.2 0.5 0.1 2 0 8.3
2011 2.3 -1.6 0.8 0.3 -2.2 1.2 -1.1 -1.8 -2.7 -2.7 -0.7 -0.4 -8.4
2012 2 1.2 0.8 0.5 -1.9 2.3 -0.2 0.1 0.6 0.7 -0.5 1.4 7.2
2013 0.8 -0.3 -1 -0.8 -1.4 0.7 1 -1.2 0.9 -0.4 0.4 0.3 -1
2014 -1.2 0.5 1 0 0.4 0.7 -0.7 0.1 -1.3 0.7 -0.7 -0.6 -1.2
2015 -1.8 0 0.6 0 -0.1 -0.1 0.5 -3.1 -0.3 0.5 0.4 -1 -4.4
2016 0.4 1.9 -0.4 0.3 0.3 0.1 -0.6 -0.2 0.5 -1 -0.5 -0.2 0.7
2017 -0.2 1.2 0.4 -0.1 0.7 0.3 0.2 0.2 0.5 -0.3 -0.7 0.1 2.4
2018 0.1 -1.1 0.6 0 0.7 0.7 -1.2 -0.1 0 1.7 0.7 0.6 2.7
2019 -0.4 0.4 0.6 -0.9 -0.1 0.2 -0.4 0.6 -1.2 0.4 -0.6 0.1 -1.1
2020 -1.7 -2 -6 -2.6 0.9 0.3 -0.8 0.3 0.8 -0.4 1.7 -0.1 -9.3
2021 1.7 1.9 0.1 NA NA NA NA NA NA NA NA NA 3.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-05-14  24.8 SPY    151. -2.20e-3 -0.0028    0.0359   0.0494    0.150    0.372    0.424 GLD    66.3 -0.0026  -0.0289
2 2007-05-15  25.1 SPY    151.  3.00e-4 -0.00120   0.0264   0.0409    0.165    0.363    0.396 GLD    66.5  0.0039  -0.0197
3 2007-05-16  25.1 SPY    152.  6.80e-3  0.00290   0.0307   0.0411    0.171    0.378    0.375 GLD    65.6 -0.0141  -0.0274
4 2007-05-17  24.8 SPY    151. -2.00e-3  0.0115    0.0274   0.0377    0.170    0.375    0.378 GLD    65.1 -0.0082  -0.0142
5 2007-05-18  25   SPY    153.  8.70e-3  0.0117    0.0366   0.0473    0.203    0.399    0.383 GLD    65.5  0.0071  -0.014 
6 2007-05-21  25   SPY    153. -5.00e-4  0.0134    0.0264   0.0445    0.209    0.391    0.376 GLD    65.7  0.0023  -0.0092
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart